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Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692

Persistent link: https://www.econbiz.de/10014432924

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

Persistent link: https://www.econbiz.de/10010472838

The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance

An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130

Persistent link: https://www.econbiz.de/10003647668

Forecasting variance swap payoffs

Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164

Persistent link: https://www.econbiz.de/10013465873

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479

Persistent link: https://www.econbiz.de/10014293114

A joint analysis of the term structure of credit default swap spreads and the implied volatility surface

Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517

Persistent link: https://www.econbiz.de/10009756569

Pricing vulnerable options under correlated skew Brownian motions

Guo, Che; Wang, Xingchun - In: The journal of futures markets 42 (2022) 5, pp. 852-867

Persistent link: https://www.econbiz.de/10013187607

Investor sentiment and credit default swap spreads during the global financial crisis

Lee, Jeehye; Kim, Sol; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 7, pp. 660-688

Persistent link: https://www.econbiz.de/10011950863

Macroeconomic conditions and credit default swap spread changes

Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802

Persistent link: https://www.econbiz.de/10011950882

Economic policy uncertainty and the volatility of sovereign CDS spreads

Raunig, Burkhard - 2018

Persistent link: https://www.econbiz.de/10011820277